Disagreement in a multi-asset market

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dc.contributor.author He, Xuezhong en_US
dc.contributor.author Shi, Lei en_US
dc.contributor.editor en_US
dc.date.accessioned 2012-10-12T03:35:08Z
dc.date.available 2012-10-12T03:35:08Z
dc.date.issued 2012 en_US
dc.identifier 2011003589 en_US
dc.identifier.citation He Xuezhong and Shi Lei 2012, 'Disagreement in a multi-asset market', Blackwell, vol. 12, no. 3, pp. 357-373. en_US
dc.identifier.issn 1468-2443 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/18930
dc.description.abstract This paper provides a simple framework to study the effect of disagreement in a multi-asset market equilibrium by considering two agents who disagree about expected returns, variances, and correlation of returns of two risky assets. When agents' subjective beliefs are characterized by mean preserving spreads of a benchmark homogeneous belief, we show that the effect of the disagreement does not cancel out in general and the effect in a multi-asset market can be very different from a single asset market. In particular, the market risk premium can increase and the risk-free rate can decrease significantly even when the market is overoptimistic and overconfident. en_US
dc.language en_US
dc.publisher Blackwell en_US
dc.relation.isbasedon http://dx.doi.org/10.1111/j.1468-2443.2012.01153.x en_US
dc.title Disagreement in a multi-asset market en_US
dc.parent International Review of Finance en_US
dc.journal.volume 12 en_US
dc.journal.number 3 en_US
dc.publocation US en_US
dc.identifier.startpage 357 en_US
dc.identifier.endpage 373 en_US
dc.cauo.name BUS.Finance en_US
dc.conference Verified OK en_US
dc.for 150200 en_US
dc.personcode 010238 en_US
dc.personcode 997966 en_US
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords en_US
dc.staffid en_US
dc.staffid 997966 en_US

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